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One Asset, Two Prices: The case of the Tsarist Repudiated Bonds

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Author Info
Kim Oosterlinck (Universite Libre de Bruxelles)
Ariane Szafarz (Universite Libre de Bruxelles)

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Abstract

Prices of repudiated bonds are insightful but scarcely observed. Based on an original daily database, this paper compares the price evolution from January 6, 1916 to August 31, 1919 of a cross-listed (Paris and London) Tsarist bond repudiated by the Soviets on February 8, 1918. After its repudiation, the bond exhibits an important geographic price differential. This unusual phenomenon is attributed to the conjunction of war conditions excluding arbitrage and specific investors' expectations regarding bailouts by French and British governments. Furthermore, data from the pre-repudiation period show that the impossibility for arbitrage is not sufficient for driving the pricing differences.

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File URL: http://129.3.20.41/eps/eh/papers/0409/0409001.pdf
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Publisher Info
Paper provided by EconWPA in its series Economic History with number 0409001.

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Length: 10 pages
Date of creation: 23 Sep 2004
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Handle: RePEc:wpa:wuwpeh:0409001

Note: Type of Document - pdf; pages: 10
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Web page: http://129.3.20.41

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Keywords: bonds repudiation sovereign debt Russia

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N - Economic History

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  1. Waldenström, Daniel, 2005. "Does Sovereign Risk Differ for Domestic and Foreign Investors? Historical Evidence from Scandinavian Bond Markets," Working Paper Series in Economics and Finance 585, Stockholm School of Economics, revised 18 Feb 2005. [Downloadable!]
  2. John Landon-Lane & Kim Oosterlinck, 2005. "Hope springs eternal… French bondholders and the Soviet Repudiation (1915-1919)," Departmental Working Papers 200513, Rutgers University, Department of Economics. [Downloadable!]
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